Crytpo Currency Exploration

Get Bitcoin data

Cdn dollar value

btc <- getSymbols(Symbols="BTC-CAD", auto.assign=FALSE)
## remove today
btc <- btc[1:nrow(btc)-1,]
summary(btc)

##      Index             BTC-CAD.Open    BTC-CAD.High    BTC-CAD.Low   
##  Min.   :2019-09-18   Min.   : 6996   Min.   : 7439   Min.   : 5721  
##  1st Qu.:2020-02-17   1st Qu.:11482   1st Qu.:11703   1st Qu.:11261  
##  Median :2020-07-19   Median :13527   Median :13698   Median :13154  
##  Mean   :2020-07-19   Mean   :24778   Mean   :25458   Mean   :24027  
##  3rd Qu.:2020-12-19   3rd Qu.:29650   3rd Qu.:30704   3rd Qu.:28960  
##  Max.   :2021-05-21   Max.   :79624   Max.   :81446   Max.   :77726  
##                       NA's   :4       NA's   :4       NA's   :4      
##  BTC-CAD.Close   BTC-CAD.Volume      BTC-CAD.Adjusted
##  Min.   : 6931   Min.   :1.625e+10   Min.   : 6931   
##  1st Qu.:11480   1st Qu.:2.915e+10   1st Qu.:11480   
##  Median :13528   Median :4.480e+10   Median :13528   
##  Mean   :24825   Mean   :4.960e+10   Mean   :24825   
##  3rd Qu.:29908   3rd Qu.:6.351e+10   3rd Qu.:29908   
##  Max.   :79598   Max.   :4.471e+11   Max.   :79598   
##  NA's   :4       NA's   :4           NA's   :4

Take a look

## basic chart_Series from quantmod
chart_Series(Cl(btc))

btc45d <- tail(btc, n=45)
summary(btc45d[,1:4])

##      Index             BTC-CAD.Open    BTC-CAD.High    BTC-CAD.Low   
##  Min.   :2021-04-07   Min.   :44588   Min.   :50866   Min.   :37107  
##  1st Qu.:2021-04-18   1st Qu.:63805   1st Qu.:65129   1st Qu.:59574  
##  Median :2021-04-29   Median :69531   Median :71173   Median :66142  
##  Mean   :2021-04-29   Mean   :67378   Mean   :69224   Mean   :64474  
##  3rd Qu.:2021-05-10   3rd Qu.:71451   3rd Qu.:73292   3rd Qu.:70128  
##  Max.   :2021-05-21   Max.   :79624   Max.   :81446   Max.   :77726  
##  BTC-CAD.Close  
##  Min.   :44890  
##  1st Qu.:62442  
##  Median :68599  
##  Mean   :66752  
##  3rd Qu.:71227  
##  Max.   :79598

chart_Series(btc45d)

Get Ethereum data

eth <- getSymbols(Symbols="ETH-CAD", auto.assign=FALSE)
## remove today - empty
eth <- eth[1:nrow(eth)-1,]
summary(eth)

##      Index             ETH-CAD.Open     ETH-CAD.High     ETH-CAD.Low    
##  Min.   :2019-09-18   Min.   : 154.6   Min.   : 164.6   Min.   : 132.5  
##  1st Qu.:2020-02-17   1st Qu.: 244.0   1st Qu.: 249.5   1st Qu.: 239.6  
##  Median :2020-07-19   Median : 352.6   Median : 368.0   Median : 345.6  
##  Mean   :2020-07-19   Mean   : 851.4   Mean   : 885.7   Mean   : 814.7  
##  3rd Qu.:2020-12-19   3rd Qu.: 807.7   3rd Qu.: 825.8   3rd Qu.: 776.4  
##  Max.   :2021-05-21   Max.   :5050.3   Max.   :5267.4   Max.   :4588.7  
##                       NA's   :4        NA's   :4        NA's   :4       
##  ETH-CAD.Close    ETH-CAD.Volume      ETH-CAD.Adjusted
##  Min.   : 154.9   Min.   :6.923e+09   Min.   : 154.9  
##  1st Qu.: 243.9   1st Qu.:1.250e+10   1st Qu.: 243.9  
##  Median : 354.1   Median :1.848e+10   Median : 354.1  
##  Mean   : 855.6   Mean   :2.353e+10   Mean   : 855.6  
##  3rd Qu.: 812.7   3rd Qu.:2.971e+10   3rd Qu.: 812.7  
##  Max.   :5043.1   Max.   :1.025e+11   Max.   :5043.1  
##  NA's   :4        NA's   :4           NA's   :4

Take a look

## basic chart_Series from quantmod
chart_Series(Cl(eth))

Zoom in recent periods

eth90d <- tail(eth, n=90)
summary(eth90d[,1:4])

##      Index             ETH-CAD.Open   ETH-CAD.High   ETH-CAD.Low  
##  Min.   :2021-02-21   Min.   :1799   Min.   :1870   Min.   :1656  
##  1st Qu.:2021-03-15   1st Qu.:2237   1st Qu.:2286   1st Qu.:2123  
##  Median :2021-04-06   Median :2627   Median :2688   Median :2520  
##  Mean   :2021-04-06   Mean   :2856   Mean   :2983   Mean   :2709  
##  3rd Qu.:2021-04-28   3rd Qu.:3269   3rd Qu.:3424   3rd Qu.:2991  
##  Max.   :2021-05-21   Max.   :5050   Max.   :5267   Max.   :4589  
##  ETH-CAD.Close 
##  Min.   :1798  
##  1st Qu.:2237  
##  Median :2635  
##  Mean   :2862  
##  3rd Qu.:3268  
##  Max.   :5043

chart_Series(eth90d)

eth45d <- tail(eth, n=45)
summary(eth45d[,1:4])

##      Index             ETH-CAD.Open   ETH-CAD.High   ETH-CAD.Low  
##  Min.   :2021-04-07   Min.   :2484   Min.   :2628   Min.   :2361  
##  1st Qu.:2021-04-18   1st Qu.:2897   1st Qu.:2959   1st Qu.:2650  
##  Median :2021-04-29   Median :3306   Median :3433   Median :3014  
##  Mean   :2021-04-29   Mean   :3509   Mean   :3690   Mean   :3302  
##  3rd Qu.:2021-05-10   3rd Qu.:4226   3rd Qu.:4346   3rd Qu.:3952  
##  Max.   :2021-05-21   Max.   :5050   Max.   :5267   Max.   :4589  
##  ETH-CAD.Close 
##  Min.   :2487  
##  1st Qu.:2933  
##  Median :3304  
##  Mean   :3515  
##  3rd Qu.:4229  
##  Max.   :5043

chart_Series(eth45d)

Correlation: BTC, ETH

since beginning 2017

kryptos <- merge(btc, eth, join='outer', fill=NA)
kryptos2017 <- kryptos['2017-01-01/']

chart_Series(kryptos[,c(4,8)])

kryptos_all <- kryptos
kryptos <- kryptos["2017-01-01/"]
chart.Correlation(kryptos[,c(4,10)], histogram=TRUE)

Explore Correlation

df_kryptos <- as.data.frame(kryptos)
df_kryptos$date <- row.names(df_kryptos)
df_kryptos %>% ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point()

df_kryptos <- df_kryptos %>% mutate(
  yr=year(date),
  mth=month(date)
)

df_kryptos %>% ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close, color=as.factor(yr)))+geom_point()

Correlations vary by year. Of most relevance in most recent yr correlation.

2020

df_kryptos_2020 <- df_kryptos %>% filter(date>='2020-01-01' & date<='2020-12-31')

df_kryptos_2020 %>%
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point()+
  geom_smooth(method='lm')

By Month

df_kryptos_2020 %>%
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close, color=as.factor(mth)))+geom_point()+
  geom_smooth(method='lm')

df_kryptos_2020 %>% 
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point(aes(color=as.factor(mth)))+
  geom_smooth(method='lm')

chart.Correlation(df_kryptos_2020[,c(2,3,4,5,8,9,10,11)], histogram=TRUE)

2021

df_kryptos_2021 <- df_kryptos %>% filter(date>='2021-01-01' & date<='2021-12-31')

df_kryptos_2021 %>%
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point()+
  geom_smooth(method='lm')

By Month

df_kryptos_2021 %>%
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close, color=as.factor(mth)))+geom_point()+
  geom_smooth(method='lm')

df_kryptos_2021 %>% 
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point(aes(color=as.factor(mth)))+
  geom_smooth(method='lm')

Distribution

2020

Prices

BTC

df_kryptos_2020 %>% ggplot(aes(x=as.factor(mth), y=BTC.CAD.Close))+geom_boxplot()

ETH

df_kryptos_2020 %>% ggplot(aes(x=as.factor(mth), y=ETH.CAD.Close))+geom_boxplot()

Returns

BTC

kryptos2020 <- kryptos_all["2020-01-01/2020-12-31"]
kryptos2020_btc_ret <- dailyReturn(kryptos2020$BTC.CAD.Close)
dygraph(kryptos2020_btc_ret)

kryptos2020_btc_ret %>% ggplot(aes(x=.))+geom_histogram()+
  geom_vline(xintercept = mean(kryptos2020_btc_ret))

ETH

kryptos2020 <- kryptos_all["2020-01-01/2020-12-31"]
kryptos2020_eth_ret <- dailyReturn(kryptos2020$ETH.CAD.Close)
dygraph(kryptos2020_eth_ret)

kryptos2020_eth_ret %>% ggplot(aes(x=.))+geom_histogram()+
  geom_vline(xintercept = mean(kryptos2020_eth_ret))

Combined

kryptos2020_ret <- merge(kryptos2020_btc_ret, kryptos2020_eth_ret, join='outer', fill=NA)

dygraph(kryptos2020_ret)

## convert to data frame for scatterplots etc
df_kryptos_2020_ret <- as.data.frame(kryptos2020_ret)
colnames(df_kryptos_2020_ret) <- c("BTC_ret","ETH_ret")

ggplot(df_kryptos_2020_ret, aes(x=BTC_ret, y=ETH_ret))+geom_point()+
  geom_smooth(method='lm')

df_kryptos_2020_ret %>% ggplot(aes(x=BTC_ret))+geom_histogram()+
  geom_vline(xintercept=sd(df_kryptos_2020_ret$BTC_ret), color='blue')+
  geom_vline(xintercept=mean(df_kryptos_2020_ret$BTC_ret), color='green')+
  geom_vline(xintercept=0-sd(df_kryptos_2020_ret$BTC_ret), color='blue')+
  geom_text(aes(label=round(sd(BTC_ret),3)), color='blue', 
                x=sd(df_kryptos_2020_ret$BTC_ret), y=70, hjust= -0.1)+
  geom_text(aes(label=round(mean(BTC_ret),3)), color='blue',
            x=mean(df_kryptos_2020_ret$BTC_ret), y=100, hjust= -0.2)

df_kryptos_2020_ret %>% ggplot(aes(x=ETH_ret))+geom_histogram()+
  geom_vline(xintercept=sd(df_kryptos_2020_ret$ETH_ret), color='blue')+
  geom_vline(xintercept=0-sd(df_kryptos_2020_ret$ETH_ret), color='blue')+
  geom_vline(xintercept=mean(df_kryptos_2020_ret$ETH_ret), color='green')+
  geom_text(aes(label=round(sd(ETH_ret),3)), color='blue', 
                x=sd(df_kryptos_2020_ret$ETH_ret), y=70, hjust= -0.1)+
  geom_text(aes(label=round(mean(ETH_ret),3)), color='green',
            x=mean(df_kryptos_2020_ret$ETH_ret), y=100, hjust= -0.2)

2021

Prices

BTC

df_kryptos_2021 %>% ggplot(aes(x=as.factor(mth), y=BTC.CAD.Close))+geom_boxplot()

ETH

df_kryptos_2021 %>% ggplot(aes(x=as.factor(mth), y=ETH.CAD.Close))+geom_boxplot()

Returns

BTC

kryptos2021 <- kryptos_all["2021-01-01/2021-12-31"]
kryptos2021_btc_ret <- dailyReturn(kryptos2021$BTC.CAD.Close)
dygraph(kryptos2021_btc_ret)

kryptos2021_btc_ret %>% ggplot(aes(x=.))+geom_histogram()+
  geom_vline(xintercept = mean(kryptos2021_btc_ret))

ETH

kryptos2021 <- kryptos_all["2021-01-01/2021-12-31"]
kryptos2021_eth_ret <- dailyReturn(kryptos2021$ETH.CAD.Close)
dygraph(kryptos2021_eth_ret)

kryptos2021_eth_ret %>% ggplot(aes(x=.))+geom_histogram()+
  geom_vline(xintercept = mean(kryptos2021_eth_ret))

Combined

kryptos2021_ret <- merge(kryptos2021_btc_ret, kryptos2021_eth_ret, join='outer', fill=NA)

dygraph(kryptos2021_ret)

## convert to data frame for scatterplots etc
df_kryptos_2021_ret <- as.data.frame(kryptos2021_ret)
colnames(df_kryptos_2021_ret) <- c("BTC_ret","ETH_ret")

ggplot(df_kryptos_2021_ret, aes(x=BTC_ret, y=ETH_ret))+geom_point()+
  geom_smooth(method='lm')

df_kryptos_2021_ret %>% ggplot(aes(x=BTC_ret))+geom_histogram()+
  geom_vline(xintercept=sd(df_kryptos_2021_ret$BTC_ret), color='blue')+
  geom_vline(xintercept=mean(df_kryptos_2021_ret$BTC_ret), color='green')+
  geom_vline(xintercept=0-sd(df_kryptos_2021_ret$BTC_ret), color='blue')+
  geom_text(aes(label=round(sd(BTC_ret),3)), color='blue', 
                x=sd(df_kryptos_2021_ret$BTC_ret), y=70, hjust= -0.1)+
  geom_text(aes(label=round(mean(BTC_ret),3)), color='blue',
            x=mean(df_kryptos_2021_ret$BTC_ret), y=100, hjust= -0.2)

df_kryptos_2021_ret %>% ggplot(aes(x=ETH_ret))+geom_histogram()+
  geom_vline(xintercept=sd(df_kryptos_2021_ret$ETH_ret), color='blue')+
  geom_vline(xintercept=0-sd(df_kryptos_2021_ret$ETH_ret), color='blue')+
  geom_vline(xintercept=mean(df_kryptos_2021_ret$ETH_ret), color='green')+
  geom_text(aes(label=round(sd(ETH_ret),3)), color='blue', 
                x=sd(df_kryptos_2021_ret$ETH_ret), y=70, hjust= -0.1)+
  geom_text(aes(label=round(mean(ETH_ret),3)), color='green',
            x=mean(df_kryptos_2021_ret$ETH_ret), y=100, hjust= -0.2)

PERIOD RETURNS

At the end of the day…what matters is what your return is at the end of the day. :)

df_kryptos_2021ytd <- df_kryptos_2021 %>% filter(date==min(date) | date==max(date)) %>% select(date, yr, mth, BTC.CAD.Close, ETH.CAD.Close) %>%
  mutate(BTC.CAD.ret=BTC.CAD.Close/lag(BTC.CAD.Close)-1,
         ETH.CAD.ret=ETH.CAD.Close/lag(ETH.CAD.Close)-1)

df_kryptos_2021ytd_lg <- df_kryptos_2021ytd %>% 
                          filter(date==max(date)) %>%
                          select(date, yr, mth, BTC.CAD.ret, ETH.CAD.ret) %>%
                          pivot_longer(cols=c(4:5),
                                      names_to='coin',
                                      values_to='ytd_return')

df_kryptos_2021ytd_lg %>% ggplot(aes(x=coin, y=ytd_return))+
                               geom_col()+
                              scale_y_continuous(labels=percent)

df_kryptos_2021ytd[,c(4:7)]

##            BTC.CAD.Close ETH.CAD.Close BTC.CAD.ret ETH.CAD.ret
## 2021-01-01      37393.09      929.7528          NA          NA
## 2021-05-21      45018.18     2933.2009   0.2039171    2.154818

MULTIPLE Currencies

Get data

ccurrency <- c("BTC-CAD", "ETH-CAD","LTC-CAD","BCH-CAD")

kryptos_multi <- NULL
for(c in ccurrency){
  kryptos_multi <- cbind(kryptos_multi,
                         getSymbols(Symbols=c, 
                                 from='2018-01-01', periodicity='daily', 
                                 auto.assign = FALSE)[,4])
}

Check correlations

chart.Correlation(kryptos_multi, histogram=TRUE)

Crytpo Currency Exploration

JY

2021-05-22

Get Bitcoin data

Take a look

Get Ethereum data

Take a look

Zoom in recent periods

Correlation: BTC, ETH

Explore Correlation

2020

By Month

2021

By Month

Distribution

2020

Prices

BTC

ETH

Returns

BTC

ETH

Combined

2021

Prices

BTC

ETH

Returns

BTC

ETH

Combined

PERIOD RETURNS

MULTIPLE Currencies

Get data

Check correlations